Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Al Moammar Information Systems Company backtest
10 trend-following strategies were compared on the full daily history of Al Moammar Information Systems Company. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 35.3%, MDD -24.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 36.4%, drawdown -45.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 40.1%, MDD -29.3%, Sharpe 1.35, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 16.4%p (CAGR 35.3%, MDD -24.1%, exposure 48%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=159 |
40.1% | -29.3% | 1.35 | 1.37 | 11.6x | 11 | 57% |
| Donchian 채널 돌파 entryN=81, exitN=48 |
35.3% | -24.1% | 1.30 | 1.47 | 9.0x | 9 | 48% |
| MACD fast=40, slow=60, signal=41 |
34.4% | -30.2% | 1.23 | 1.14 | 8.6x | 23 | 57% |
| 볼린저 밴드 돌파 n=31, k=3.4 |
23.1% | -18.0% | 1.21 | 1.28 | 4.5x | 14 | 22% |
| Supertrend period=22, mult=3.7 |
33.4% | -32.3% | 1.20 | 1.03 | 8.1x | 31 | 61% |
| EMA 크로스오버 fast=30, slow=93 |
33.3% | -35.9% | 1.16 | 0.93 | 8.1x | 15 | 58% |
| ROC 모멘텀 n=149, threshold=0.03 |
30.8% | -43.0% | 1.13 | 0.72 | 7.0x | 33 | 57% |
| ADX / DI 방향성 period=26, threshold=25 |
22.0% | -18.5% | 1.12 | 1.19 | 4.2x | 17 | 26% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=27, mult=1.1 |
24.5% | -44.8% | 0.99 | 0.55 | 4.9x | 65 | 52% |
| Parabolic SAR step=0.04, maxStep=0.08 |
14.0% | -40.8% | 0.64 | 0.34 | 2.6x | 137 | 57% |
| Buy and hold | 36.4% | -45.7% | 1.07 | 0.80 | 9.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 159-day average
- Sell — Sell (to cash) when the 51-day average falls below the 159-day average